Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents
Trading volume of infinitely lived securities, such as equity, is generically zero in Lucas asset pricing models with heterogeneous agents. More generally, the end-of-period portfolio of all securities is constant over time and states in the generic economy. General equilibrium restrictions rule out trading of equity after an initial period. This result contrasts the prediction of portfolio allocation analyses that portfolio rebalancing motives produce nontrivial trade volume. Therefore, other causes of trade must be present in asset markets with large trading volume. Copyright (c) 2003 by the American Finance Association.
Year of publication: |
2003
|
---|---|
Authors: | Judd, Kenneth L. ; Kubler, Felix ; Schmedders, Karl |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 58.2003, 5, p. 2203-2218
|
Publisher: |
American Finance Association - AFA |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents
Judd, Kenneth L., (2000)
-
Bond Ladders and Optimal Portfolios
Judd, Kenneth L.,
-
Bossaerts, Peter L., (2006)
- More ...